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Year of publication
Subject
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Martingale 1,085 Martingal 1,001 Theorie 568 Theory 557 Optionspreistheorie 272 Option pricing theory 269 Stochastic process 226 Stochastischer Prozess 225 Portfolio-Management 183 Portfolio selection 181 CAPM 140 Volatilität 116 Volatility 114 Hedging 102 martingale 99 Schätztheorie 96 Estimation theory 94 Incomplete market 83 Unvollkommener Markt 83 Zeitreihenanalyse 66 Börsenkurs 65 Share price 65 Statistical test 65 Statistischer Test 65 Derivat 64 Derivative 64 Time series analysis 64 Arbitrage Pricing 60 Arbitrage 58 Estimation 58 Schätzung 58 Arbitrage pricing 56 Mathematical programming 55 Mathematische Optimierung 55 Efficient market hypothesis 50 Effizienzmarkthypothese 50 Capital income 49 Kapitaleinkommen 49 Bubbles 46 Risiko 44
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Online availability
All
Free 385 Undetermined 288
Type of publication
All
Article 687 Book / Working Paper 486 Other 3
Type of publication (narrower categories)
All
Article in journal 582 Aufsatz in Zeitschrift 582 Working Paper 228 Graue Literatur 215 Non-commercial literature 215 Arbeitspapier 204 Aufsatz im Buch 32 Book section 32 Hochschulschrift 31 Thesis 23 Amtsdruckschrift 8 Government document 8 Collection of articles written by one author 7 Sammlung 7 Lehrbuch 6 Textbook 5 Article 4 Commentary 3 Conference paper 3 Forschungsbericht 3 Kommentar 3 Konferenzbeitrag 3 Einführung 2 Bibliografie 1 Collection of articles of several authors 1 Konferenzschrift 1 Mikroform 1 Sammelwerk 1
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Language
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English 1,064 Undetermined 99 German 10 Spanish 2 French 1 Serbian 1
Author
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Schweizer, Martin 29 Jacod, Jean 18 Podolskij, Mark 17 Platen, Eckhard 16 Jeanblanc, Monique 14 Kardaras, Constantinos 14 Barndorff-Nielsen, Ole E. 12 Jarrow, Robert A. 12 Karantounias, Anastasios G. 12 Choulli, Tahir 11 Linton, Oliver 11 Todorov, Viktor 11 Hulley, Hardy 10 Li, Jia 10 Phillips, Peter C. B. 10 Bayraktar, Erhan 9 Hobson, David G. 9 Prigent, Jean-Luc 9 Cassese, Gianluca 8 Kabanov, Jurij M. 8 Nutz, Marcel 8 Osȩkowski, Adam 8 Scaillet, Olivier 8 Shephard, Neil G. 8 Tauchen, George Eugene 8 Biagini, Francesca 7 Bollerslev, Tim 7 Fontana, Claudio 7 Frittelli, Marco 7 Kallsen, Jan 7 McCauley, Joseph L. 7 Protter, Philip E. 7 Renault, Olivier 7 Schachermayer, Walter 7 Siu, Tak Kuen 7 Vetter, Mathias 7 Arai, Takuji 6 Elliott, Robert J. 6 Graversen, Svend Erik 6 Henry-Labordere, Pierre 6
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Institution
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International Monetary Fund (IMF) 21 National Bureau of Economic Research 6 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 6 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 5 Cowles Foundation for Research in Economics, Yale University 4 Deutsche Forschungsgemeinschaft 3 EconWPA 3 National Centre of Competence in Research - Financial Valuation and Risk Management 3 Sonderforschungsbereich 303 - Information und die Koordination Wirtschaftlicher Aktivitäten, Universität Bonn 3 University of Bonn, Germany 3 Berkeley Electronic Press 2 Bonn Graduate School of Economics 2 Center for Agricultural and Rural Development (CARD), Iowa State University 2 Centre for Analytical Finance <Århus> 2 School of Economics and Management, University of Aarhus 2 Agricultural and Applied Economics Association - AAEA 1 Association of African Young Economists - AAYE 1 Banca d'Italia 1 Center for Economic Research <Minneapolis, Minn.> 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews 1 Centro Ricerche Nord Sud (CRENoS) 1 Department of Economics, Iowa State University 1 Department of Economics, University of California-Santa Barbara (UCSB) 1 Econometric Society 1 Economics Department, Queen's University 1 Faculty of Economics, University of Cambridge 1 Federal Reserve Bank of Atlanta 1 Federal Reserve Bank of Kansas City / Research Division 1 Finrisk 1 Graduate School of Economics, Hitotsubashi University 1 HAL 1 Institut für Schweizerisches Bankwesen <Zürich> 1 Institutionen för Skogsekonomi <Ume°a> 1 International Monetary Fund 1 Jingji-Yanjiusuo <Taipeh> 1 National Centre of Competence in Research North South <Bern> 1 Palgrave Macmillan 1 Rheinische Friedrich-Wilhelms-Universität Bonn 1 Robert Schuman Centre for Advanced Studies 1
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Published in...
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Finance and stochastics 89 Mathematical finance : an international journal of mathematics, statistics and financial theory 50 International journal of theoretical and applied finance 41 Journal of econometrics 38 Research paper series / Swiss Finance Institute 24 IMF Working Papers 21 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 19 Annals of finance 16 Applied mathematical finance 15 CREATES research paper 15 Mathematics and financial economics 15 Journal of mathematical finance 13 Mathematical methods of operations research 13 Asia-Pacific financial markets 11 Statistics & Probability Letters 11 Annals of the Institute of Statistical Mathematics 9 European journal of operational research : EJOR 9 Série des documents de travail / Centre de Recherche en Économie et Statistique 9 Economic theory : official journal of the Society for the Advancement of Economic Theory 8 Insurance / Mathematics & economics 8 Journal of economic dynamics & control 8 Mathematics of operations research 8 Cowles Foundation discussion paper 7 Econometric theory 7 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 7 Economics letters 7 International review of financial analysis 7 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 7 Quantitative finance 7 The journal of futures markets 7 Working Paper 7 Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business 7 Decisions in economics and finance : DEF ; a journal of applied mathematics 6 Discussion paper / B 6 Discussion papers of interdisciplinary research project 373 6 Econometric reviews 6 Finance research letters 6 International journal of financial engineering 6 Mathematical finance : an international journal of mathematics, statistics and financial economics 6 Risks : open access journal 6
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Source
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ECONIS (ZBW) 1,011 RePEc 128 EconStor 28 USB Cologne (business full texts) 5 BASE 3 ArchiDok 1
Showing 1 - 50 of 1,176
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A default contagion model for pricing defaultable bonds from an information based perspective
Nakagawa, Hidetoshi; Takada, Hideyuki - In: Quantitative finance 23 (2023) 1, pp. 169-185
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From Bachelier to Dupire via optimal transport
Beiglböck, Mathias; Pammer, Gudmund; Schachermayer, Walter - In: Finance and stochastics 26 (2022) 1, pp. 59-84
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Arbitrage theory in models with transaction costs beyond efficient friction
Molitor, Alexander - 2022
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Equilibrium price in intraday electricity markets
Aïd, René; Cosso, Andrea; Pham, Huyên - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 517-554
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Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate
Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...
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Bubbles in discrete-time models
Herdegen, Martin; Kreher, Dörte - In: Finance and stochastics 26 (2022) 4, pp. 899-925
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Semimartingale price systems in models with transaction costs beyond efficient friction
Kühn, Christoph; Molitor, Alexander - In: Finance and stochastics 26 (2022) 4, pp. 927-982
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A Tale of Two Time Scales : Applications in Nonparametric Hawkes Processes With Ito Semimartingale Baseline
Yu, Seunghyeon; Potiron, Yoann - 2022
In view of their tractability, Hawkes processes are widely employed in high-frequency data. However, even in the absence of kernel (i.e. Poisson case), it is well-documented empirically that the baseline is not constant, reproducing in particular seasonalities from the financial market. In this...
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Martingale representations in progressive enlargement by multivariate point processes
Calzolari, Antonella; Torti, Barbara - In: International journal of theoretical and applied … 25 (2022) 3, pp. 1-21
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Applying the local martingale theory of bubbles to cryptocurrencies
Choi, Soon Hyeok; Jarrow, Robert A. - In: International journal of theoretical and applied … 25 (2022) 3, pp. 1-25
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Rate-optimal estimation of mixed semimartingales
Chong, Carsten; Delerue, Thomas; Mies, Fabian - 2022
Consider the sum Y=B+B^H of a Brownian motion B and an independent fractional Brownian motion B^H with Hurst parameter H ∈ (0,1). Surprisingly, even though B^H is not a semimartingale, Cheridito proved in that Y is a semimartingale if H3/4. Moreover, Y is locally equivalent to B in this case,...
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Drift burst test statistic in a pure jump semimartingale model
Mancini, Cecilia - 2022
We complete the investigation on the asymptotic behavior of the drift burst test statistic devised in Christensen, Oomen and Ren\`o (2020). They analysed it for an Ito semimartingale containing a Brownian component and finite variation jumps. We also account for infinite variation jumps.We show...
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Martingale effect of conventional vs. Islamic stock indices : evidence from the UAE
Marashdeh, Hazem; Ashraf, Sania - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 3, pp. 279-290
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Distributionally robust inventory control when demand is a martingale
Xin, Linwei; Goldberg, David Alan - In: Mathematics of operations research 47 (2022) 3, pp. 2387-2414
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Optimal stopping and utility in a simple modelof unemployment insurance
Anquandah, Jason S.; Bogachev, Leonid V. - In: Risks : open access journal 7 (2019) 3/94, pp. 1-41
Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more proactively due to the continuous reduction of benefit payments. In...
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Fixed-k inference for volatility
Bollerslev, Tim; Li, Jia; Liao, Zhipeng - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1053-1084
We present a new theory for the conduct of nonparametric inference about the latent spot volatility of a semimartingale asset price process. In contrast to existing theories based on the asymptotic notion of an increasing number of observations in local estimation blocks, our theory treats the...
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Two-sample testing for tail copulas with an application to equity indices
Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - 2021
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Efficiency testing of prediction markets : martingale approach, likelihood ratio and Bayes factor analysis
Richard, Mark; Večeř, Jan - In: Risks : open access journal 9 (2021) 2/31, pp. 1-20
This paper studies efficient market hypothesis in prediction markets and the results are illustrated for the in-play football betting market using the quoted odds for the English Premier League. Our analysis is based on the martingale property, where the last quoted probability should be the...
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Utility indifference option pricing model with a non-constant risk-aversion under transaction costs and its numerical approximation
Pólvora, Pedro; Ševčovič, Daniel - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-12
Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions solving the system of HJB equations. We introduce the...
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Revisiting the Implied Remaining Variance framework of Carr and Sun (2014) : Locally consistent dynamics and sandwiched martingales
Martini, Claude; Raffaelli, Iacopo - 2021
Implied volatility is at the very core of modern finance, notwithstanding standard option pricing models continue to derive option prices starting from the joint dynamics of the underlying asset price and the spot volatility. These models often cause difficulties: no closed formulas for prices,...
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Belief Convergence under Misspecified Learning : A Martingale Approach
Frick, Mira; Iijima, Ryota; Ishii, Yuhta - 2021
We present an approach to analyze learning outcomes in a broad class of misspecified environments, spanning both single-agent and social learning. We introduce a novel “prediction accuracy” order over subjective models, and observe that this makes it possible to partially restore standard...
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Pseudo-Hermiticity, Martingale Processes, and Non-Arbitrage Pricing
Hicks, William - 2021
In [2], and [13], financial models based on the Wick product, and White Noise formalism are suggested. Although the original purpose is to incorporate integrals with respect to fractional Brownian motion, it is also pointed out in these articles, that this leads naturally to a quantum mechanical...
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Testing the Local Martingale Theory of Bubbles using Cryptocurrencies
Choi, Soon Hyeok; Jarrow, Robert - 2021
Cryptocurrencies provide the ideal and natural experimental setting to test the local martingale theory of bubbles, because they have no cash flows. Using this theory, we test for the existence of price bubbles in eight cryptocurrencies from January 1, 2019 to July 17, 2019. The cryptocurrencies...
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Drift burst test statistic in a pure jump semimartingale model
Mancini, Cecilia - 2021
Persistent link: https://ebtypo.dmz1.zbw/10013347728
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Mixed Semimartingales : Volatility Estimation in the Presence of Rough Noise
Chong, Carsten; Delerue, Thomas; Li, Guoying - 2021
We consider the problem of estimating volatility based on high-frequency data when the observed price process is a continuous Itô semimartingale contaminated by microstructure noise. Assuming that the noise process is compatible across different sampling frequencies, we argue that it typically...
Persistent link: https://ebtypo.dmz1.zbw/10013220217
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Simplified Stochastic Calculus via Semimartingale Representations
Černý, Aleš; Ruf, Johannes - 2021
We develop a stochastic calculus that makes it easy to capture a variety of predictable transformations of semimartingales such as changes of variables, stochastic integrals, and their compositions. The framework offers a unified treatment of real-valued and complex-valued semimartingales. The...
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Fads, Martingales, and Market Efficiency
Lehmann, Bruce N. - 2021
Much of the theoretical basis for current monetary and financial theory rests on the economic efficiency of financial markets. Not surprisingly, considerable effort has been expended to test the efficient markets hypothesis, usually by examination of the predictability of equity returns....
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Dispersion-Constrained Martingale Schrödinger Problems and the Exact Joint S&P 500/VIX Smile Calibration Puzzle
Guyon, Julien - 2021
We solve for the first time (*) a longstanding puzzle of quantitative finance that has often been described as the Holy Grail of volatility modeling: build a model that jointly and exactly calibrates to the prices of S&P 500 (SPX) options, VIX futures, and VIX options. So far the best attempts,...
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XVA Estimates with Empirical Martingale Simulation
Renzitti, Stefano; Bastani, Pouya; Sivorot, Steven - 2021
We explore simple finite sample adjustments to simulated spot FX rates, zero bonds, forward IBORs and the numeraire to ensure the martingale asset pricing property of linear IR and FX products holds exactly with a finite number of Monte Carlo simulations. The impact on CVA, DVA, and CVA-DVA...
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Semimartingale and Continuous-Time Markov Chain Approximation for Rough Stochastic Local Volatility Models
Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - 2021
Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series and implied volatility smiles of SPX options. They are continuous-time stochastic volatility models, whose volatility process is driven by a fractional Brownian motion with...
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Martingale Schrödinger bridges and optimal semistatic portfolios
Nutz, Marcel; Wiesel, Johannes; Zhao, Long - In: Finance and stochastics 27 (2023) 1, pp. 233-254
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Doubts about the model and optimal policy
Karantounias, Anastasios G. - 2020
This paper analyzes optimal policy in setups where both the leader and the follower have doubts about the probability model of uncertainty. I illustrate the methodology in two environments: a) an industry populated with a large firm and many small firms in a competitive fringe, where both types...
Persistent link: https://ebtypo.dmz1.zbw/10012653478
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A note on: an early warning system for market inefficiency
Habibi, Reza - In: Financial Internet Quarterly 16 (2020) 4, pp. 35-41
Violation of the efficient market hypothesis (EMH) in a specific market may lead to construction of bubbles which is a signal of inefficiencies. Although speculative bubbles soon decay, if they exist for a long time, they will lead to financial crises. Early warning systems (EWSs) are designed...
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On Intermediate Marginals in Martingale Optimal Transportation
Sester, Julian - 2020
We study the influence of information about call option prices on model-independent price bounds for exotic derivatives obtained through martingale transport. The considered call option prices and their associated marginal distributions do not correspond to some future maturity on which the...
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Semimartingale Theory of Monotone Mean-Variance Portfolio Allocation
Černý, Aleš - 2020
We study dynamic optimal portfolio allocation for monotone mean-variance preferences in a general semimartingale model. Armed with new results in this area we revisit the work of Cui, Li, Wang and Zhu (2012, MAFI) and fully characterize the circumstances under which one can set aside a...
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Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
Baltagi, Badi H.; Pirotte, Alain; Yang, Zhenlin - 2020
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference...
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Rate-optimality of consistent distribution-free tests of independence based on center-outward ranks and signs
Shi, Hongjian; Hallin, Marc; Drton, Mathias; Han, Fang - 2020
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Robust tests for white noise and cross-correlation
Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2020
Commonly used tests to assess evidence for the absence of autocorrelation in a univariate time series or serial cross-correlation between time series rely on procedures whose validity holds for i.i.d. data. When the series are not i.i.d., the size of correlogram and cumulative Ljung-Box tests...
Persistent link: https://ebtypo.dmz1.zbw/10012243279
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Doubts about the model and optimal policy
Karantounias, Anastasios G. - 2020
This paper analyzes optimal policy in setups where both the leader and the follower have doubts about the probability model of uncertainty. I illustrate the methodology in two environments: a) an industry populated with a large firm and many small firms in a competitive fringe, where both types...
Persistent link: https://ebtypo.dmz1.zbw/10012256581
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Martingale Difference Hypothesis in Asia – Pacific Foreign Exchange Market
Sankarkumar, Amirdha Vasani - 2020
This study examines whether the Asia – Pacific Foreign Exchange Market was in a weak form of efficiency against USD, during the period from 02/01/2010 to 31/12/2019. This study employed various linear measures, to examine the martingale behaviour of Asia – Pacific Foreign Exchange Market....
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Forests, Cumulants, Martingales
Friz, Peter - 2020
This work is concerned with forest and cumulant type expansions of general random variables on a filtered probability spaces. We establish a “broken exponential martingale” expansion that generalizes and unifies the exponentiation result of Alòs, Gatheral, and Radoičić ́ (SSRN'17; [AGR20])...
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A note on: an early warning system for market inefficiency
Habibi, Reza - In: Financial internet quarterly 16 (2020) 4, pp. 35-41
Violation of the efficient market hypothesis (EMH) in a specific market may lead to construction of bubbles which is a signal of inefficiencies. Although speculative bubbles soon decay, if they exist for a long time, they will lead to financial crises. Early warning systems (EWSs) are designed...
Persistent link: https://ebtypo.dmz1.zbw/10012509988
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Deep learning for asset bubbles detection
Bashchenko, Oksana; Marchal, Alexis - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012181227
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Evolution of the housing market under the framework of adaptive market hypothesis and martingale difference hypothesis : a case of India
Pandey, Richa; Jessica, V. Mary - In: Property management 40 (2022) 1, pp. 17-28
Persistent link: https://ebtypo.dmz1.zbw/10013169931
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Log-optimal and numéraire portfolios for market models stopped at a random time
Choulli, Tahir; Yansori, Sina - In: Finance and stochastics 26 (2022) 3, pp. 535-585
Persistent link: https://ebtypo.dmz1.zbw/10013440235
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A continuous-time asset market game with short-lived assets
Zhitlukhin, M. V. - In: Finance and stochastics 26 (2022) 3, pp. 587-630
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A time-varying jump tail risk measure using high-frequency options data
Ubukata, Masato - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2633-2653
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Testing the eigenvalue structure of spot and integrated covariance
Dovonon, Prosper; Taamouti, Abderrahim; Williams, Julian - In: Journal of econometrics 229 (2022) 2, pp. 363-395
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Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying; Liu, Guangying; Zhang, Zhiyuan - In: Journal of econometrics 229 (2022) 2, pp. 422-451
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On exchange rate predictability and adaptive market hypothesis in South Africa
Tweneboah, George; Asamoah, Michael Effah; Owusu … - In: Journal of African business 23 (2022) 4, pp. 984-1008
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